Because I like to go back to games I haven’t played in a while and relive the experience, it’s just something I do for fun.
Also, I’m not asking because I plan on using the walls for happiness grinding, I’m asking because I’m curious.

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I'm going to assume that taking steps to hatch an egg and taking steps to raise happiness are the same thing. I received a Ducklett egg in X then I rode my bike to the Cyllage Gym. It took a long time, and soon the egg hatched while I was climbing along the wall.

So, climbing the rock wall in the Cyllage Gym DOES count as taking steps
Source: Experience